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person:"McAleer, Michael"
~isPartOf:"Econometric Institute research papers"
~subject:"Kapitaleinkommen"
~subject:"Portfolio selection"
~subject:"Scientific modelling"
~subject:"Spot market"
~subject:"United States"
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Kapitaleinkommen
Portfolio selection
Scientific modelling
Spot market
United States
Volatility
72
Volatilität
72
ARCH model
36
ARCH-Modell
36
USA
22
Estimation
21
Schätzung
21
Spillover effect
21
Spillover-Effekt
21
Capital market returns
18
Kapitalmarktrendite
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Forecasting model
12
Prognoseverfahren
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Spotmarkt
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Welt
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World
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Börsenkurs
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Commodity derivative
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Oil price
11
Risikomaß
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Risk measure
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Rohstoffderivat
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Share price
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Ölpreis
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Capital income
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Futures
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Stochastic process
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Stochastischer Prozess
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Time series analysis
10
Zeitreihenanalyse
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Hedging
8
Portfolio-Management
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Aktienindex
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Index derivative
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Indexderivat
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English
45
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McAleer, Michael
Chang, Chia-Lin
23
Asai, Manabu
9
Tansuchat, Roengchai
6
Medeiros, Marcelo C.
4
Caporin, Massimiliano
3
Hammoudeh, Shawkat
3
Hsieh, Tai-Lin
3
Pérez Amaral, Teodosio
3
Allen, David E.
2
Bodeutsch, Denice
2
Franses, Philip Hans
2
Hammoudeh, Shawkat M.
2
Roengchai Tansuchat
2
Wang, Yu-Ann
2
Yuan, Yuan
2
Bannouh, Karim
1
Dijk, Dick van
1
Gupta, Rangan
1
Hakim, Abdul
1
Hsu, Hui-Kuang
1
Ilomäki, Jukka
1
Ishida, Isao
1
Jimenez-Martin, Juan-Angel
1
Jiménez-Martín, Juan-Ángel
1
Khamkaew, Tanchanok
1
Laurila, Hannu
1
Liu, Chia-Ping
1
Liu, Tengdong
1
Malik, Farooq
1
Martens, Martin
1
Oya, Kosuke
1
Powell, Robert
1
Radalj, Kim
1
Singh, Abhay Kumar
1
Tian, Jiarong
1
Wang, Chien-Hsun
1
Wang, Yanghuiting
1
Wiphatthanananthakul, Chatayan
1
Zuo, Guangdong
1
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Econometric Institute research papers
Working paper
23
Discussion paper / Tinbergen Institute
20
Econometric reviews
6
Energy economics
4
International review of economics & finance : IREF
3
Journal of econometrics
3
Journal of risk and financial management : JRFM
3
The North American journal of economics and finance : a journal of financial economics studies
3
Risks : open access journal
2
The econometrics journal
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
2
Applied financial economics
1
Econometrics : open access journal
1
International Journal of Financial Studies : open access journal
1
International journal of forecasting
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Journal of travel research : a quarterly publication of the Travel and Tourism Research Association
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School of Accounting, Finance and Economics & FEMARC working paper series
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The impact of jumps and leverage in forecasting the co-volatility of oil and gold futures
Asai, Manabu
;
Gupta, Rangan
;
McAleer, Michael
-
2019
Persistent link: https://www.econbiz.de/10011986953
Saved in:
2
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011823293
Saved in:
3
Long run returns predictability and volatility with moving averages
Chang, Chia-Lin
;
Ilomäki, Jukka
;
Laurila, Hannu
; …
-
2018
Persistent link: https://www.econbiz.de/10011920696
Saved in:
4
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2018
-
Revised: September 2018
Persistent link: https://www.econbiz.de/10011920700
Saved in:
5
Connecting VIX and stock index ETF
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2017
-
Revised: January 2017
Persistent link: https://www.econbiz.de/10011823316
Saved in:
6
Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin
;
McAleer, Michael
;
Zuo, Guangdong
-
2017
-
Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
Saved in:
7
Volatility spillovers for spot, futures, and ETF prices in Energy and Agriculture
Chang, Chia-Lin
;
Liu, Chia-Ping
;
McAleer, Michael
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541148
Saved in:
8
Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin
;
McAleer, Michael
;
Tian, Jiarong
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
Saved in:
9
Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Yanghuiting
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500276
Saved in:
10
An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors
Chang, Chia-Lin
;
McAleer, Michael
;
Wang, Chien-Hsun
-
2016
-
Revised: June, 2016
Persistent link: https://www.econbiz.de/10011500282
Saved in:
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